Recent Quant Links from Quantocracy as of 11/04/2026

A short one today. Suppose I offer you N trading strategies to choose between. We can run some kind of bootstrap of their historical returns to get a final distribution of CAGR, with all the caveats implied by that. Or suppose I ask you to pick the correct level of leverage on a trading strategy. Again we can bootstrap historical returns at different leverage levels, giving us a series of N

I was given access to Trading Breakthroughs with AI by Algo Advantage on using Claude Code as a research assistant for systematic trading. The idea is simple. You come up with the idea to test. Claude writes the code, runs the backtests and writes up the results. What caught my attention is that the course is built around the authors own instruction files, the rules that tell Claude how to

After a summer break, this is post (checks notes) #11 in my 2026 series on portfolio optimisation. Up until now I've been focusing on the optimisation of forecast weights -the weights of signals to predict a given instrument – on a pre cost basis. So now it seems that we should introduce the question of costs. But if you are a faithful follower of this blog, you may be groaning! I have

We spent the past four articles developing four robust momentum systems, and now its time to combine them into the momentum mini portfolio. The four systems we developed to be a part of this mini portfolio are: The TSX Dual Factor Momentum System The US Pullback Momentum System The ASX Small-Cap/Large-Cap Split Momentum System The ETF Diversifier Momentum System Each one of these systems was

The Triple Screen is the trading system at the centre of Alexander Elder's "Trading for a Living". It reads a stock three ways: the long trend, a dip against that trend, and the turn that ends the dip. Elder measures the dip with his own Force Index, the day's price change times the shares traded, and he buys only when the price climbs back above the previous day's high.

Almost every experiment in this series died of the same cause: the signal did not exist, or it existed only inside a measurement bias. The one that closes the tour of forex is different, and that is why it deserves its own note: here the signal exists, it survives nineteen placebos in each of twelve years and it also appears in the years nobody had looked at, and even so the experiment ended in a

An average correlation puts a quiet day and a selloff on the same edge, and so does the symmetric graph in the old article "Network Momentum as a Cross-Asset Factor." Pham, Han, Nguyen, Pham and Do estimate common volatility, the shared multiplier on residual variance they call COVOL, separately on positive returns and on negative returns. The largest negative-return shock in their

With the calendar about to change from October to November, the market will enter its Best 6 Months. The Best 6 Months tendency was first published by Yale Hirsch, founder of the Stock Traders Almanac, in 1986. The concept behind the Best 6 Months is simple. Hirschs research suggests that over the last several decades the market has made a massive portion of its gains

According to a well-known paper, most of the US stock market's return arrives while the market is closed. That sounds like easy money, which is exactly why I wanted to check whether anyone can actually collect it. 1. The theory In "A Tug of War: Overnight Versus Intraday Expected Returns" (2019), Dong Lou, Christopher Polk and Spyros Skouras show that most of the US equity premium,